Letter size papers are the smallest that can be handled by the Z3200 Sheet "Manual" Feed mode. On a Mac, you need to enter Page Setup to select sheet goods, and can do so for only those paper sizes where sheet media is a selectable option. It is not possible to create a Custom Paper size in Page Setup that relies on sheet goods; Roll Paper will be the only media source for Custom Sizes.
My experience suggests that you can fool the software somewhat. As an example, I have selected 18x22 sheet goods, but actually fed 17x25 Harman Gloss FB in the Manual Feeder, and the machine tolerated that - HP told it it would not print once the Z had measured my media to be dimensionally different from that specified.
Printing from Lightroom has worked very well in my hands to generate small prints from roll paper. As an example, on the HP Professional Satin I commonly print 5 each 4x6 images side by side, after creating a Custom Paper size of 24x7 in Page Setup. I usually do this for print proofing purposes, but cutting the results into individual 4x6 sizes would work. My working style prefers this to the notion of straightening and cutting roll media before printing, but Ernst's method would certainly work.
In Lightroom printing, letter size prints have required some margin changes to center the image in the intended way. Too, I have also preferred to manually correct skew when loading letter size sheets so as to more reliably locate the image on the sheet.
I'll confess that my favorite image results on glossy media have been on the HP Professional Satin material that you describe liking. I don't truly care for the paper in terms of its weight and handling ability - it feels like non-1st rate material in my hands. I'm trying to perfect results with other glossy media like Harman Gloss FB and Hahnemuhle Fine Art Baryta, but for now those papers are giving me dark prints. You may have seen the other thread on this topic.
Letter size prints on matte media have been very encouraging. Favorite matte papers have been Canson BFK Rives, Crane Museo Max, and the Hahnemuhle William Turner and Museum Etching.
I'm grateful to find other Z3200 users here and look forward to corresponding. HP Tech Support division has been a powerful disappointment to me in our multiple interactions since I received the Z in November 2008, so I value this kind of dialog immensely.
Best wishes,
John Caldwell
Pittsburgh, PA
USA